Assets A and B are such that their returns are uncorrelated (zero correlation). The Sharpe ratios of assets A and B are 0.14 and 0.16, respectively. The highest Sharpe ratio attainable using the two assets A and B along with the risk free asset in a portfolio is equal to (Negative amounts should be indicated by a minus sign. Round your final answwer to 2 decimal places, e.g. 110.10)

Assets A and B are such that their returns are uncorrelated (zero correlation). The Sharpe ratios of assets A and B are 0.14 and 0.16, respectively. The highest Sharpe ratio attainable using the two assets A and B along with the risk free asset in a portfolio is equal to (Negative amounts should be indicated by a minus sign. Round your final answwer to 2 decimal places, e.g. 110.10)

Practical Management Science

6th Edition

ISBN:9781337406659

Author:WINSTON, Wayne L.

Publisher:WINSTON, Wayne L.

Chapter11: Simulation Models

Section: Chapter Questions

Problem 77P: It is January 1 of year 0, and Merck is trying to determine whether to continue development of a new...

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